**A** question that popped up on X validated made me search a little while for point estimators that are both admissible (under a certain loss function) and not generalised Bayes (under the same loss function), before asking Larry Brown, Jim Berger, or Ed George. The answer came through Larry’s book on exponential families, with the two examples attached. (Following our 1989 collaboration with Roger Farrell at Cornell U, I knew about the existence of testing procedures that were both admissible and not Bayes.) The most surprising feature is that the associated loss function is strictly convex as I would have thought that a less convex loss would have helped to find such counter-examples.

## Archive for admissibility

## admissible estimators that are not Bayes

Posted in Statistics with tags admissibility, Bayes estimators, Cornell University, decision theory, exponential families, hypothesis testing, loss function on December 30, 2017 by xi'an## Charles M. Stein [1920-2016]

Posted in Books, pictures, Statistics, University life with tags admissibility, Charles Stein, Iraq War, James-Stein estimator, shrinkage estimation, Stanford University, Stein effect, Stein method, University of California Berkeley, Vietnam War on November 26, 2016 by xi'an**I** have just heard that Charles Stein, Professor at Stanford University, passed away last night. Although the following image is definitely over-used, I truly feel this is the departure of a giant of statistics. He has been deeply influential on the fields of probability and mathematical statistics, primarily in decision theory and approximation techniques. On the first field, he led to considerable changes in the perception of optimality by exhibiting the *Stein phenomenon*, where the aggregation of several admissible estimators of unrelated quantities may (and will) become inadmissible for the joint estimation of those quantities! Although the result can be explained by mathematical and statistical reasoning, it was still dubbed a paradox due to its counter-intuitive nature. More foundationally, it led to expose the ill-posed nature of frequentist optimality criteria and certainly contributed to the Bayesian renewal of the 1980’s, before the MCMC revolution. (It definitely contributed to my own move, as I started working on the Stein phenomenon during my thesis, before realising the fundamentally Bayesian nature of the domination results.)

“…the Bayesian point of view is often accompanied by an insistence that people ought to agree to a certain doctrine even without really knowing what this doctrine is.”(Statistical Science, 1986)

The second major contribution of Charles Stein was the introduction of a new technique for normal approximation that is now called the *Stein method.* It relies on a differential operator and produces estimates of approximation error in Central Limit theorems, even in dependent settings. While I am much less familiar with this aspect of Charles Stein’s work, I believe the impact it has had on the field is much more profound and durable than the Stein effect in Normal mean estimation.

*(During the Vietnam War, he was quite active in the anti-war movement and the above picture from 2003 shows that his opinions had not shifted over time!)* A giant truly has gone.

## Bureau international des poids et mesures [bayésiennes?]

Posted in pictures, Statistics, Travel with tags admissibility, Bayesian inference, Bureau international des poids et mesures, confidence intervals, conventions, France, frequentist inference, MaxEnt, norms, Paris, Pavillon de Breteuil, Sèvres, subjective versus objective Bayes, workshop on June 19, 2015 by xi'an**T**he workshop at the BIPM on measurement uncertainty was certainly most exciting, first by its location in the Parc de Saint Cloud in classical buildings overlooking the Seine river in a most bucolic manner…and second by its mostly Bayesian flavour. The recommendations that the workshop addressed are about revisions in the current GUM, which stands for the Guide to the Expression of Uncertainty in Measurement. The discussion centred on using a more Bayesian approach than in the earlier version, with the organisers of the workshop and leaders of the revision apparently most in favour of that move. “Knowledge-based pdfs” came into the discussion as an attractive notion since it rings a Bayesian bell, especially when associated with probability as a degree of belief and incorporating the notion of an a priori probability distribution. And propagation of errors. Or even more when mentioning the removal of frequentist validations. What I gathered from the talks is the perspective drifting away from central limit approximations to more realistic representations, calling for Monte Carlo computations. There is also a lot I did not get about conventions, codes and standards. Including a short debate about the different meanings on Monte Carlo, from simulation technique to calculation method (as for confidence intervals). And another discussion about replacing the old formula for estimating sd from the Normal to the Student’s ** t **case. A change that remains highly debatable since the Student’s

**assumption is as shaky as the Normal one. What became clear [to me] during the meeting is that a rather heated debate is currently taking place about the need for a revision, with some members of the six (?) organisations involved arguing against Bayesian or linearisation tools.**

*t*This became even clearer during our frequentist versus Bayesian session with a first talk so outrageously anti-Bayesian it was hilarious! Among other things, the notion that “fixing” the data was against the principles of physics (the speaker was a physicist), that the only randomness in a Bayesian coin tossing was coming from the prior, that the likelihood function was a subjective construct, that the definition of the posterior density was a generalisation of Bayes’ theorem [generalisation found in… Bayes’ 1763 paper then!], that objective Bayes methods were inconsistent [because Jeffreys’ prior produces an inadmissible estimator of μ²!], that the move to Bayesian principles in GUM would cost the New Zealand economy 5 billion dollars [hopefully a frequentist estimate!], &tc., &tc. The second pro-frequentist speaker was by comparison much much more reasonable, although he insisted on showing Bayesian credible intervals do not achieve a nominal frequentist coverage, using a sort of fiducial argument distinguishing x=X+ε from X=x+ε that I missed… A lack of achievement that is fine by my standards. Indeed, a frequentist confidence interval provides a coverage guarantee either for a fixed parameter (in which case the Bayesian approach achieves better coverage by constant updating) or a varying parameter (in which case the frequency of proper inclusion is of no real interest!). The first Bayesian speaker was Tony O’Hagan, who summarily shred the first talk to shreds. And also criticised GUM2 for using reference priors and maxent priors. I am afraid my talk was a bit too exploratory for the audience (since I got absolutely no question!) In retrospect, I should have given an into to reference priors.

An interesting specificity of a workshop on metrology and measurement is that they are hard stickers to schedule, starting and finishing right on time. When a talk finished early, we waited until the intended time to the next talk. Not even allowing for extra discussion. When the only overtime and Belgian speaker ran close to 10 minutes late, I was afraid he would (deservedly) get lynched! He escaped unscathed, but may (and should) not get invited again..!

## Bayesian propaganda?

Posted in Books, Kids, pictures, Statistics, University life with tags Abraham Wald, admissibility, Bayesian Analysis, Bayesian decision theory, Charles Stein, James-Stein estimator, least squares, objective Bayes, shrinkage estimation, The Bayesian Choice on April 20, 2015 by xi'an

“The question is about frequentist approach. Bayesian is admissable [sic] only by wrong definition as it starts with the assumption that the prior is the correct pre-information. James-Stein beats OLS without assumptions. If there is an admissable[sic]frequentist estimator then it will correspond to a true objective prior.”

**I** had a wee bit of a (minor, very minor!) communication problem on X validated, about a question on the existence of admissible estimators of the linear regression coefficient in multiple dimensions, under squared error loss. When I first replied that all Bayes estimators with finite risk were *de facto* admissible, I got the above reply, which clearly misses the point, and as I had edited the OP question to include more tags, the edited version was reverted with a comment about Bayesian propaganda! This is rather funny, if not hilarious, as (a) Bayes estimators are indeed admissible in the classical or frequentist sense—I actually fail to see a definition of admissibility in the Bayesian sense—and (b) the complete class theorems of Wald, Stein, and others (like Jack Kiefer, Larry Brown, and Jim Berger) come from the frequentist quest for best estimator(s). To make my point clearer, I also reproduced in my answer the Stein’s necessary and sufficient condition for admissibility from my book but it did not help, as the theorem was “too complex for [the OP] to understand”, which shows *in fine* the point of reading textbooks!

## mathematical statistics books with Bayesian chapters [incomplete book reviews]

Posted in Books, Statistics, University life with tags admissibility, Bayesian statistics, Bayesian theory, decision theory, empirical Bayes methods, mathematical statistics, minimaxity, prior distributions, statistical theory on July 9, 2013 by xi'an**I** received (in the same box) two mathematical statistics books from CRC Press, *Understanding Advanced Statistical Methods* by Westfall and Henning, and *Statistical Theory A Concise Introduction* by Abramovich and Ritov. For review in CHANCE. While they are both decent books for teaching mathematical statistics at undergraduate borderline graduate level, I do not find enough of a novelty in them to proceed to a full review. (Given more time, I could have changed my mind about the first one.) Instead, I concentrate here on their processing of the Bayesian paradigm, which takes a wee bit more than a chapter in either of them. (And this can be done over a single métro trip!) The important following disclaimer applies: *comparing both books is highly unfair in that it is only because I received them together. They do not necessarily aim at the same audience. And I did not read the whole of either of them.*

**F**irst, the concise *Statistical Theory* covers the topic in a fairly traditional way. It starts with a warning about the philosophical nature of priors and posteriors, which reflect beliefs rather than frequency limits (just like likelihoods, no?!). It then introduces priors with the criticism that priors are difficult to build and assess. The two classes of priors analysed in this chapter are unsurprisingly conjugate priors (which hyperparameters have to be determined or chosen or estimated in the empirical Bayes heresy *[my words!, not the authors’]*) and “noninformative (objective) priors”. The criticism of the flat priors is also traditional and leads to the group invariant (Haar) measures, then to Jeffreys non-informative priors (with the apparent belief that Jeffreys only handled the univariate case). Point estimation is reduced to posterior expectations, confidence intervals to HPD regions, and testing to posterior probability ratios (with a warning about improper priors). Bayes rules make a reappearance in the following decision-theory chapter, as providers of both admissible and minimax estimators. This is it, as Bayesian techniques are not mentioned in the final “Linear Models” chapter. As a newcomer to statistics, I think I would be as bemused about Bayesian statistics as when I got my 15mn entry as a student, because here was a method that seemed to have a load of history, an inner coherence, and it was mentioned as an oddity in an otherwise purely non-Bayesian course. What good could this do to the understanding of the students?! So I would advise against getting this “token Bayesian” chapter in the book…

“You are not ignorant! Prior information is what you know prior to collecting the data.”

Understanding Advanced Statistical Methods(p.345)

**S**econd, *Understanding Advanced Statistical Methods* offers a more intuitive entry, by justifying prior distributions as summaries of prior information. And observations as a mean to increase your knowledge about the parameter. The Bayesian chapter uses a toy but very clear survey examplew to illustrate the passage from prior to posterior distributions. And to discuss the distinction between informative and noninformative priors. (I like the “Ugly Rule of Thumb” insert, as it gives a guideline without getting too comfy about it… E.g., using a 90% credible interval is good enough on p.354.) Conjugate priors are mentioned as a result of past computational limitations and simulation is hailed as a highly natural tool for analysing posterior distributions. Yay! A small section discusses the purpose of vague priors without getting much into details and suggests to avoid improper priors by using “distributions with extremely large variance”, a concept we dismissed in Bayesian Core! For how large is “extremely large”?!

“You may end up being surprised to learn in later chapters (..) that, with classical methods, you simply cannot perform the types of analyses shown in this section (…) And that’s the answer to the question, “What good is Bayes?””

Understanding Advanced Statistical Methods(p.345)

**T**hen comes the really appreciable part, a section entitled “What good is Bayes?”—it actually reads “What Good is Bayes?” (p.359), leading to a private if grammatically poor joke since I.J. Good was one of the first modern Bayesians, working with Turing at Bletchley Park…— The authors simply skip the philosophical arguments to give the reader a showcase of examples where the wealth of the Bayesian toolbox: logistic regression, VaR (Value at Risk), stock prices, drug profit prediction. Concluding with arguments in favour of the frequentist methods: (a) not requiring priors, (b) easier with generic distributifrequentistons, (c) easier to understand with simulation, and (d) easier to validate with validation. I do not mean to get into a debate about those points as my own point is that the authors are taking a certain stand about the pros and cons of the frequentist/Bayesian approaches and that they are making their readers aware of it. (Note that the Bayesian chapter comes *before* the frequentist chapter!) A further section is “Comparing the Bayesian and frequentist paradigms?” (p.384), again with a certain frequentist slant, but again making the distinctions and similarities quite clear to the reader. Of course, there is very little (if any) about Bayesian approaches in the next chapters but this is somehow coherent with the authors’ perspective. Once more, a perspective that is well-spelled and comprehensible for the reader. Even the novice statistician. In that sense, having a Bayesian chapter inside a general theory book makes sense. (The second book has a rather detailed website, by the way! Even though handling simulations in Excel and drawing graphs in SAS could be dangerous to your health…)

## beware, nefarious Bayesians threaten to take over frequentism using loss functions as Trojan horses!

Posted in Books, pictures, Statistics with tags admissibility, Aris Spanos, arXiv, decision theory, econometrics, Erich Lehmann, James-Stein estimator, linear model, loss functions, Lucien Le Cam, minimaxity, Stein effect, unbiasedness on November 12, 2012 by xi'an

“It is not a coincidence that textbooks written by Bayesian statisticians extol the virtue of the decision-theoretic perspective and then proceed to present the Bayesian approach as its natural extension.” (p.19)

“According to some Bayesians (see Robert, 2007), the risk function does represent a legitimate frequentist error because it is derived by taking expectations with respect to [the sampling density]. This argument is misleading for several reasons.” (p.18)

**D**uring my R exam, I read the recent arXiv posting by Aris Spanos on why “the decision theoretic perspective misrepresents the frequentist viewpoint”. The paper is entitled “Why the Decision Theoretic Perspective Misrepresents Frequentist Inference: ‘Nuts and Bolts’ vs. Learning from Data” and I found it at the very least puzzling…. The main theme is the one caricatured in the title of this post, namely that the decision-theoretic analysis of frequentist procedures is a trick brought by Bayesians to justify their own procedures. The fundamental argument behind this perspective is that decision theory operates in a “for all θ” referential while frequentist inference (in Spanos’ universe) is only concerned by one θ, the *true* value of the parameter. (Incidentally, the “nuts and bolt” refers to the only case when a decision-theoretic approach is relevant from a frequentist viewpoint, namely in factory quality control sampling.)

“The notions of a risk function and admissibility are inappropriate for frequentist inference because they do not represent legitimate error probabilities.” (p.3)

“An important dimension of frequentist inference that has not been adequately appreciated in the statistics literature concerns its objectives and underlying reasoning.” (p.10)

“The factual nature of frequentist reasoning in estimation also brings out the impertinence of the notion of admissibility stemming from its reliance on the quantifier ‘for all’.” (p.13)

**O**ne strange feature of the paper is that Aris Spanos seems to appropriate for himself the notion of frequentism, rejecting the choices made by (what I would call frequentist) pioneers like Wald, Neyman, “Lehmann and LeCam [sic]”, Stein. Apart from Fisher—and the paper is strongly grounded in neo-Fisherian revivalism—, the only frequentists seemingly finding grace in the eyes of the author are George Box, David Cox, and George Tiao. (The references are mostly to textbooks, incidentally.) Modern authors that clearly qualify as frequentists like Bickel, Donoho, Johnstone, or, to mention the French school, e.g., Birgé, Massart, Picard, Tsybakov, none of whom can be suspected of Bayesian inclinations!, do not appear either as satisfying those narrow tenets of frequentism. Furthermore, the concept of frequentist inference is never clearly defined within the paper. As in the above quote, the notion of “legitimate error probabilities” pops up repeatedly (15 times) within the whole manifesto without being explicitely defined. (The closest to a definition is found on page 17, where the significance level and the *p*-value are found to be legitimate.) Aris Spanos even rejects what I would call the von Mises basis of frequentism: “contrary to Bayesian claims, those error probabilities have nothing to to do with the temporal or the physical dimension of the long-run metaphor associated with repeated samples” (p.17), namely that a statistical procedure cannot be evaluated on its long term performance… Continue reading

## Back from Philly

Posted in R, Statistics, Travel, University life with tags admissibility, graphs, homotopy, invariance, Larry Brown, Lasso, minimaxity, non-pa, Philadelp, Wharton Business School on December 21, 2010 by xi'an**T**he conference in honour of Larry Brown was quite exciting, with lots of old friends gathered in Philadelphia and lots of great talks either recollecting major works of Larry and coauthors or presenting fairly interesting new works. Unsurprisingly, a large chunk of the talks was about admissibility and minimaxity, with John Hartigan starting the day re-reading Larry masterpiece 1971 paper linking admissibility and recurrence of associated processes, a paper I always had trouble studying because of both its depth and its breadth! Bill Strawderman presented a new if classical minimaxity result on matrix estimation and Anirban DasGupta some large dimension consistency results where the choice of the distance (total variation versus Kullback deviance) was irrelevant. Ed George and Susie Bayarri both presented their recent work on g-priors and their generalisation, which directly relate to our recent paper on that topic. On the afternoon, Holger Dette showed some impressive mathematics based on Elfving’s representation and used in building optimal designs. I particularly appreciated the results of a joint work with Larry presented by Robert Wolpert where they classified all Markov stationary infinitely divisible time-reversible integer-valued processes. It produced a surprisingly small list of four cases, two being trivial.. The final talk of the day was about homology, which sounded a priori rebutting, but Robert Adler made it extremely entertaining, so much that I even failed to resent the powerpoint tricks! The next morning, Mark Low gave a very emotional but also quite illuminating about the first results he got during his PhD thesis at Cornell (completing the thesis when I was using Larry’s office!). Brenda McGibbon went back to the three truncated Poisson papers she wrote with Ian Johnstone (via gruesome 13 hour bus rides from Montréal to Ithaca!) and produced an illuminating explanation of the maths at work for moving from the Gaussian to the Poisson case in a most pedagogical and enjoyable fashion. Larry Wasserman explained the concepts at work behind the lasso for graphs, entertaining us with witty acronyms on the side!, and leaving out about 3/4 of his slides! (The research group involved in this project produced an R package called huge.) Joe Eaton ended up the morning with a very interesting result showing that using the right Haar measure as a prior leads to a matching prior, then showing why the consequences of the result are limited by invariance itself. Unfortunately, it was then time for me to leave and I will miss (in both meanings of the term) the other half of the talks. Especially missing Steve Fienberg’s talk for the third time in three weeks! Again, what I appreciated most during those two days (besides the fact that we were all reunited on the very day of Larry’s birthday!) was the pain most speakers went to to expose older results in a most synthetic and intuitive manner… I also got new ideas about generalising our parallel computing paper for random walk Metropolis-Hastings algorithms and for optimising across permutation transforms.